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Showing 1 to 1 of 1 for “"Two-volatility model"”.
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Characterizations of and closed-form solutions for plain vanilla and exotic derivatives
… the Kou (2002) double exponential jump-diffusion model. Displacing the two exponential tails introduces additional degrees of asymmetry in the jump size distribution. The model dynamics are supported by a general equilibrium framework. Our main contribution is to derive closed-form solutions for …